The exterior scenes of the prison were shot at McAlester State Penitentiary, an active prison in Oklahoma. The interior scenes were shot on stage where the makers built Shadow's cell and some corridors.
Entertainment Weekly published in a 'first look' behind-the-scenes photo of the fight between Shadow and Mad Sweeney in the Crocodile Bar. The cartoonish-looking green crocodile in that photograph was not used in the final filming. That whole version of the Crocodile Bar set was torn down and rebuilt to meet the showrunners original expectations, a substantial undertaking which cost the already expensive production $2 million dollars.
The wound Mad Sweeney (Pablo Schreiber) receives on his forehead between his eyes after he headbutts Shadow Moon (Ricky Whittle) is real. Pablo Schreiber admitted in an interview that he'd accidentally been hit in the face, which split open his forehead and temporarily halted filming until the bleeding could be stemmed.
According to creator Bryan Fuller, a different actor had originally been cast in the role of the suitor but he had to drop out unexpectedly at the last minute and Joel Murray was then hired.
In the nursery rhyme "Monday's Child" Wednesday's child is full of woe. (This is also the reason the daughter on The Addams Family (1964) was given that name.)
Aaron Sorkin: The screenwriter casually walks across the room in the bar sequence, drinks in both hands.